Mike,
thanks for the info I've spent a week trying to get to the bottom of these property relationships and unless I missed something I didn't see any of this in the documentation nor did I get any response from support on the issue. So reading between the lines from your posts did you use the detail log of the AA to figure this out? As useful as the information you've provided is, perhaps more useful to someone like myself who is trying to gain proficiency in programming this software are any general diagnostic techniques you might be willing to share. Back to the .cash issue, have you modeled taking additional positions with open position gain with low level CBT code? At the moment the basic behaviour will suffice for my systems but I would be interested to know if you've delt with the issue and if so how in general for future reference. Ray --- In [email protected], "Mike" <sfclimb...@...> wrote: > > One thing to keep in mind is that open position gains are not added to the > Cash property and are thus not available for taking additional positions > (i.e. the taking of positions is dependent upon the availability of Cash). > > http://finance.groups.yahoo.com/group/amibroker/message/148014 > > Mike > > --- In [email protected], "raymondpconnolly" <raymondpconnolly@> > wrote: > > > > Thanks Mike...I will go through it...I greatly appreciate your response. > > > > Ray > > > > --- In [email protected], "Mike" <sfclimbers@> wrote: > > > > > > A reply that I made to an earlier thread might be helpful. Note that > > > despite the verbal description in the link below, I seem to recall that > > > AmiBroker stores bo.MarginLoan as a negative number that gets added to > > > equity. > > > > > > http://finance.groups.yahoo.com/group/amibroker/message/127764 > > > > > > Mike > > > > > > --- In [email protected], "raymondpconnolly" <raymondpconnolly@> > > > wrote: > > > > > > > > Hi All, > > > > > > > > I've written some CBT code to calculate custom metrics Max_Equity, > > > > Min_Cash, Max_Margin_loan. The problem I am having Is that I'm not > > > > sure how to interpret the output because I'm uncertain about the > > > > definition of backtester object properties bo.Equity, bo.Cash, > > > > bo.MarginLoan where bo is the bactester object. > > > > > > > > From the User Guide topic "Portfolio-level back testing" : "New > > > > backtester works on PORTFOLIO LEVEL, it means that there is single > > > > portfolio equity and positionsizing refers to portfolio equity. > > > > Portfolio equity is equal to available cash plus sum of all > > > > simultaneously open positions at given time." > > > > > > > > Is it correct to conclude from the above that for a margin account > > > > Portfolio equity includes Marginloan? Therefore if I defined the > > > > equity that I provide as "Owners Equity" vs. the broker provided > > > > "Maginloan" the following would be true: > > > > > > > > (1) bo.Equity = Owners Equity + bo.MarginLoan = bo.Cash + sum of all > > > > simultaneously open positions at given time? > > > > > > > > (2) bo.Equity = Owners Equity/MarginRate = bo.Cash + sum of all > > > > simultaneously open positions at given time? > > > > > > > > or is it the case that: > > > > > > > > (3) bo.Equity = Owners Equity = bo.Cash + sum of all simultaneously > > > > open positions at given time. (and bo.MarginLoan is simply a separate > > > > number)? > > > > > > > > or are there other components in Portfolio equity that I've missed > > > > completely? > > > > > > > > If anyone can help with this I would really appreciate it. > > > > > > > > Regards, > > > > Ray > > > > > > > > > >
